What is Monte Carlo Equity Projection?

A MetaTrader 5 indicator that runs a bootstrap simulation on an account's own closed-trade history and projects a percentile cone of future equity paths directly on the chart, using no assumed return distribution and no external data feed.

How does the bootstrap simulation work?

The indicator draws from the account's closed deals with replacement — bootstrap resampling — running a configurable number of simulations (default 10,000) to project a configurable number of forward trades (default 500). Percentile bands (p5, p25, p50, p75, p95) are plotted as a cone over the equity curve, with faint background paths showing individual simulation runs.

Does it predict future returns?

No. It is a statistical projection built from the distribution of trades already closed on the account, not a forecast or a guarantee. If the underlying strategy or market regime changes, the historical sample the simulation draws from may no longer be representative.

Is it connected to any external data source?

No. All computation runs locally from the account's own closed-deal history via the native MT5 API. There is no external server, no WebRequest call, and no internet permission required.

How do I install Monte Carlo Equity Projection in MetaTrader 5?

Download it from MQL5 Market, then drag it from the Navigator panel onto any MT5 chart. It reads the account's closed trade history directly — no WebRequest permission or additional configuration is required to see the default cone.

Guide

Monte Carlo Equity Projection for MetaTrader 5

Q: What is probability of ruin in this context?

The share of the 10,000 simulated equity paths in which account balance falls below 20% of starting capital at any point during the projected trade sequence — one of the probabilities shown in the risk metrics strip below the cone.

How the Monte Carlo Equity Projection indicator turns an account's own closed-trade history into a percentile cone of future equity outcomes, how to read the risk metrics strip and checklist verdict underneath it, and how to install it on a MetaTrader 5 chart.

What It Is

Monte Carlo Equity Projection is a standalone MetaTrader 5 indicator (MQL5 Market product #186259) that reads an account's real closed deals via the native MT5 API and runs a bootstrap Monte Carlo simulation on them, drawing a percentile cone of projected equity paths directly on the chart. It answers a narrower, more concrete question than a macro dashboard: given the trading statistics an account has actually produced so far, what is the realistic range of outcomes ahead — and do those statistics currently support scaling up?

Note

Descriptive, not predictive. The cone is a statistical projection built from the distribution of trades already closed on the account — it is not a forecast, a guarantee, or a recommendation to trade differently. If the underlying strategy, position sizing, or market regime changes, the historical sample the simulation draws from may no longer be representative of what comes next.

How the Simulation Works

The indicator draws from the account's closed deals with replacement — bootstrap resampling — rather than assuming any fixed return distribution (normal, log-normal, or otherwise). Each simulated path resamples the account's own trade-by-trade results in a new random order, so the projection reflects the actual shape of the account's win/loss distribution, including its skew and tail behaviour, instead of a theoretical bell curve.

By default the indicator runs 10,000 simulations projecting 500 forward trades each, both configurable. Across all simulated paths, it computes the p5, p25, p50, p75, and p95 percentile equity value at each trade step, plotting these five percentile curves as a cone over the live equity curve. A set of faint background paths — a sample of individual raw simulation runs — sits behind the cone to give a visual sense of path dispersion beyond the five summary percentiles.

Important

Fully local — no external data. All computation runs from the account's own closed-deal history read through the native MT5 API. There is no external server, no WebRequest call, and no internet permission required to run it — unlike the Global Investing terminal products, which pull live macro data from outside MT5.

Reading the Equity Cone

The cone widens as the projection extends further from "NOW" — more simulated trades means more accumulated variance across paths, so the gap between the p5 (worst-case band) and p95 (best-case band) curves grows the further right you read the chart. The p50 (median) curve is the single most likely path through the middle of the distribution, not an average, and is not more probable than any other point inside the p25–p75 band.

Monte Carlo Equity Projection indicator on an MT5 chart, showing a bootstrap-simulated percentile equity cone (p5/p25/p50/p75/p95) over the account equity curve, with a full risk metrics strip below covering account history, projected returns, drawdown and risk, and probabilities

The percentile equity cone with the risk metrics strip below it. Five percentile curves (p5–p95) bound the projected range of outcomes from "NOW", with faint individual simulation paths in the background and a full statistics panel underneath.

Risk Metrics Strip

A full statistics panel sits below the cone, split into four groups:

Group	Metrics
Account history	Trades, win rate, profit factor, expectancy, standard deviation
Returns (projected)	Median (p50), scenario p5 / p95, VaR 95%, CVaR 95%
Drawdown & risk	Average drawdown, DD p95 / p99, Calmar ratio, worst losing streak at p95
Probabilities	Probability of gain, probability of DD >30%, probability of DD >50%, probability of ruin

Probability of ruin is the share of simulated paths in which account balance falls below 20% of starting capital at any point during the projection — a fixed reference threshold, not a per-account setting.

Checklist Verdict

A configurable checklist — minimum trade count, minimum profit factor, maximum tolerable p95 drawdown, maximum ruin probability, and minimum probability of gain — rolls the full statistics panel into a single verdict: tradeable, caution, needs review, or not tradeable. It is a one-glance read on whether the account's current statistics clear the bar the checklist defines, not an assessment of the strategy itself.

Configurable Inputs & CSV Export

History filter — days of history to include (0 = all available), with an option to restrict to the current chart's symbol only.
Simulation — number of bootstrap simulations, number of trades to project, reference capital used for percent calculations, and a random seed for reproducible runs.
Risk thresholds — the five checklist inputs described above.
Panel — full color customization for accents, background, border, dividers, and text.
CSV export — one-click export of results to the shared MT5 Common\Files folder (File → Open Data Folder, one level up from the terminal-specific folder), named ESI_<symbol>_<date>.csv.

Installing on MetaTrader 5

Download Monte Carlo Equity Projection from MQL5 Market, then drag it from the Navigator panel onto any MT5 chart. Because it reads only the account's own closed-deal history through the native MT5 API, no WebRequest whitelist entry or additional permission is required to see the default cone and risk metrics strip.